Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets:Evidence from Malaysia

• 作者: Abd. Kamal Bin Char Jude W. Taunson Minah Japang Mohd. Fahmi Bin Ghazali
• 来源期刊: 现代会计与审计:英文版
• 学科: 经济
• 关键词: lead-lag RELATIONS index FUTURES EMERGING market
• 年，卷（期）: 2018,（10）
• 页码范围: 561-569
• 页数: 9页
• 分类号: F

摘要

This paper investigates the lead-lag relationship between the stock index futures(known as FKLI)and its underlying index,the Kuala Lumpur Composite Index(KLCI)in the emerging Malaysian market.Using 15-second interval data,cross-correlation,and the partial adjustment model,we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much stronger.The evidence also suggests that the KLCI returns over-react to information,more so once thin trading effects are considered.Overall,the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures.